[R-SIG-Finance] tradestation & R

[Guy Yollin]

Hi Niel,

I've used both Tradestation and R for a while now and tried to connect them
up a few years back.

The connection that I used was via the DCOM module for R and Tradestation's
ELkit DLL interface.

Basically, your tradestation indicator or strategy can call a dll that you
create; the dll then also uses the COM connector interface to talk with R.

I did a few working examples that passed TS data through the interface to R,
R created some type of forecasting model e.g. loess regression and returned
results through the dll and back to TS where this indicator was the basis for
a trading signal.

It work but was terminally slow and I was not compelled at that time to try
to speed it up.

Perhaps there are better alternatives today.

I still have tradestation but now consider there greatest value to be their
on-demand historic database of intraday data for virtually all stocks and
futures (if you subscribe to the real-time data feed for the associated
exchange).

I've also used interactivebrokers and they support a number of interfaces for
real-time data and order execution; plus, there is quite a nice little
collection of 3rd party contributed software that exploits these interfaces
in various ways.

If I was trying to build a platform for trading system backtesting and
automated order entry with core modeling done in R, I'm not sure that I'd
hitch R to tradestation.

I'd probably look to connect up with interactivebrokers for the order
execution and find a clean way to get updated historic intraday data; of
course if you don't need intraday data you can just use yahoo.

If you can't find a source of continually updated intraday data then
tradestation may be the answer; the on-demand access to years of intraday
data for any symbol you want is quite nice.

Hope this helps.

-- Guy


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Neil Eastep
Sent: Friday, August 04, 2006 5:56 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] tradestation & R

I am contemplating buying Tradestation, and I wonder if and how this
can integrate with R . . . . Any insights would be appreciated.
Thanks, Neil.

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